Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The ARP strategy trades actively in an attempt to mitigate the cost of reversing positions established during trending market conditions. ARP uses a strategy of trading within a consolidation range that is determined each trading day. The consolidation range dynamically Claughton Capital, LLC shifts, expands and contracts depending upon market conditions. When a market is trading within the consolidation range, the ARP strategy trades that market using a pattern recognition methodology. When a market is trending, the ARP strategy will follow the trend in an attempt to capture profit from sustained price movements. The ARP strategy trades actively resulting in a higher brokerage commission cost than many other managed futures programs. The ARP strategy has historically traded an average annual number of contracts per given account size of between 50% and 100% more than the average of other managed futures programs. The Trading Advisor does not receive any portion of such commissions.

Performance Statistics

Date Range: 09/05 - 04/19

Program

S&P 500

Altegris 40

Total Return

74.46%

221.39%

44.89%

Annualized Return

4.18%

8.92%

2.75%

Annualized Std. Deviation

16.50%

14.02%

8.86%

Correlation

-0.16

0.22

Sharpe Ratio (rf=2.5%)

0.10

0.46

0.03

Worst Month

-14.00%

-16.79%

-6.10%

Date of Worst Month

05/2011

10/2008

02/2018

Worst Drawdown

-25.54%

-50.95%

-15.74%

Date of Worst Drawdown

1/15 - 9/16

10/07 - 2/09

4/11 - 9/13

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 09/05 - 04/19

Year or YTD

Program

S&P 500

Altegris 40

2019

-9.78

18.24

5.17

2018

22.20

-4.38

-4.29

2017

-7.87

21.84

1.24

2016

3.58

11.98

-3.13

2015

-18.67

1.41

0.09

2014

21.98

13.69

15.75

2013

3.41

32.41

-2.45

2012

13.99

15.98

-4.75

2011

-1.60

2.12

-3.23

2010

-2.68

15.06

11.33

2009

-6.92

26.45

-7.98

2008

13.03

-36.99

15.47

2007

14.35

5.50

7.18

2006

20.23

15.79

6.70

2005

2.36

2.08

2.57

Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 09/05 - 04/19

Note: All performance data is since program inception.

Monthly Returns

Date Range: 09/05 - 04/19

Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 09/05 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Date Range: 09/05 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:

Claughton Capital, LLC

Address:

14 NE First Avenue, Suite 907

City:

Miami

State:

FL

Zip:

33131

Country:

USA

Key People

Name:

Keith M. Ganzer, CFA

Position:

Principal

Biography:

Mr. Ganzer was first registered with the National Futures Association as an Associate Member on December 29, 1988 and as an Associated Person on February 3, 1989. Mr. Ganzer
became registered as a Principal and as an Associated Person with Claughton Capital, LLC on August 11, 2003 and as a branch manager on September 2, 2008. During the past five years,
Mr. Ganzer has been a Trading Principal and the Chief Investment Officer of Claughton Capital,
LLC. In addition, Mr. Ganzer was an Actuarial Associate at AXA Financial Inc., a financial
planning, life, annuity, and property/casualty insurance company, from June 2003 to May 2005. Since November 2005 to Present, Mr. Ganzer serves as the Chief Financial Officer of Triumph Securities Corporation, a FINRA member broker/dealer where he devotes approximately 24 hours annually. Mr. Ganzer has an M.A. in Chemical Engineering from Princeton University and B.S. in Chemistry with Highest Honors from Case Western Reserve University. He is a Chartered Financial Analyst member of the CFA Institute and a PRMIA Certified Risk Manager.

Name:

Eric Schreiber

Position:

Principal

Biography:

Mr. Schreiber was first registered with the National Futures Association as a Principal
with Claughton Capital, LLC on July 28, 2003. Mr. Schreiber became registered as an Associated Person with Claughton Capital, LLC on August 11, 2003 and as an Associate Member on September 15, 2003. During the past five years, Mr. Schreiber has been a Trading Principal
and the President of Claughton Capital, LLC. Mr. Schreiber received the Arthur D. Little Scholarship to attend the University of Chicago where he received an M.B.A. degree and
received the Halsey S. Garlund Scholarship to attend Emory University where he received a B.S. degree in Mathematics and Computer Science.

There are substantial risks and conflicts of interests associated with Managed Futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent
upon the ability of a commodity trading advisor (CTA) to identify profitable investment opportunities and successfully trade. The identification of attractive trading opportunities is difficult, requires skill,
and involves a significant degree of uncertainty. CTAs have total trading authority, and the use of a single CTA could mean a lack of diversification and higher risk. The high degree of leverage often obtainable
in commodity trading can work against you as well as for you, and can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate you
for the business and financial risks you assume. You can lose all or a substantial amount of your investment. If you use notional funding, you may lose more than your initial cash investment. Managed
Futures and commodities accounts may be subject to substantial charges for management and advisory fees. It may be necessary for accounts that are subject to these charges to make substantial
trading profits in order to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of each fee to be charged to your account by a CTA. CTAs may trade
highly illiquid markets, or on foreign markets, and may not be able to close or offset positions immediately upon request. You may have market exposure even after the CTA has a request for closure or
liquidation. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.